Unlock All Weapons:
     At the main menu, press R1, L2, Square, Circle, R1, R2, L2.

Invincibility (wont work in undercover mode):
     At the main menu, press Square, Square, L1, R1, L2, R2, R2.

Immunity (wont work in undercover mode):
     At the main menu, press Circle, Circle, L1, L2, R1, R2, Square.

Unlock all Missions:
     At the main menu, press L1, R1, L1, L2, Square, Square, Circle.

Unlock all Vehicles:
     At the main menu, press L1, L1, Square, Circle, L1, R1, Circle.